Fair Value Measurement in the Life Settlement Market

Item Type Journal paper

IFRS 13 and the AIFMD require assets to be held at fair value. Life settlement prices are commonly determined by present value calculus. Yet, the asset class lacks an established approach
for the determination of adequate discount rates. We estimate historical yield spreads used for pricing based on 2,863 transactions that occurred between 2011 and 2016. We then explain their cross section through hedonic regression methodology. Out-of-sample results indicate that market-consistent life settlement prices can be conclusively predicted using discount rates generated by our model.

Authors Braun, Alexander & Xu, Jiahua
Journal or Publication Title Journal of Fixed Income
Language English
Subjects business studies
Refereed Yes
Date January 2020
Publisher Inst. Investor, Inc.
Volume 29
Number 4
Page Range 100-123
ISSN 1059-8596
Publisher DOI https://doi.org/10.3905/jfi.2020.1.084
Official URL https://jfi.pm-research.com/content/early/2020/01/...
Depositing User Prof. Dr. Alexander Braun
Date Deposited 14 Jan 2020 11:02
Last Modified 02 Apr 2020 08:48
URI: https://www.alexandria.unisg.ch/publications/258978


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Braun, Alexander & Xu, Jiahua (2020) Fair Value Measurement in the Life Settlement Market. Journal of Fixed Income, 29 (4). 100-123. ISSN 1059-8596


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